Citi plans to price autocallable buffered notes tied to index basket

By Sarah Lizee

Olympia, Wash., June 7 – Citigroup Global Markets Holdings Inc. plans to price 0% autocallable buffered notes due in 36 months linked to a basket of indexes, according to a 424B2 filing with the Securities and Exchange Commission.

The notes are guaranteed by Citigroup Inc.

The basket consists of the Euro Stoxx 50 index with a 36% weight, the Topix index with a 27% weight, the FTSE 100 index with a 19% weight, the Swiss Market index with a 10% weight and the S&P/ASX 200 index with an 8% weight.

The notes will be called at par plus a call premium if the basket closes at or above the initial index level on either of two call observation dates. The call premium will be between 10% and 11.75% for the first call observation date and between 20% and 23.5% for the second call observation date.

If the basket finishes at or above its initial level, the payout at maturity will be par plus the maturity date premium of 30% to 35.25%.

Investors will receive par if the basket falls by up to 10% and will lose 1.1111% for each 1% decline beyond 10%.

Citigroup Global Markets Inc. is the agent.

The Cusip number is 17326YCG9.

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